Warhounds: the default, fast enough to screen knights, cheap enough to field in droves. Stick them in front of the appropriate unit, run them towards the shooting threat, and done. I field these in min-sized units.

Beast-herds: I usually field a large beast-herd, to screen my infantry. They outrange the warriors/marauders so they work well, and if they aren't too shot up (which they usually aren't, given the skirmish rules) they are effective in melee, unlike hounds.

Furies: as long as they are racing towards the shooting threats anyway, they might as well be between the shooting threats and my melee units. Although sometimes its better to force your foes to choose between shooting the screen and shooting the unit that's gonna assault it, in practice the foe almost always shoots at the furies anyway, unless they are on a hill and screens are irrelevant.

Marauder horsemen: In a pinch, I can run these guys up to take a bullet, the maneuverability helps a lot here.

Cheers!
-Koosh

Arena of Death Champion: Nexim of the Guldskullz Tribe. Fear my wrath!

Beast herds are an excellent screen for slow troops. They may well be the best infantry skirmishers in the game, too, with their multiple attacks, high toughness, and ability to gain up to +2 rank bonus. Throw in a couple characters like a Wargor BsB with the vitriolic totem and a Bray-Shaman with a braystaff and a couple of dispel scrolls and you've got yourself a rock-hard unit.